MarketPath.java
package org.drip.exposure.universe;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 Lakshmi Krishnamurthy
* Copyright (C) 2018 Lakshmi Krishnamurthy
* Copyright (C) 2017 Lakshmi Krishnamurthy
*
* This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
* asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
* analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
* equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
* numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
* and computational support.
*
* https://lakshmidrip.github.io/DROP/
*
* DROP is composed of three modules:
*
* - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
* - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
* - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
*
* DROP Product Core implements libraries for the following:
* - Fixed Income Analytics
* - Loan Analytics
* - Transaction Cost Analytics
*
* DROP Portfolio Core implements libraries for the following:
* - Asset Allocation Analytics
* - Asset Liability Management Analytics
* - Capital Estimation Analytics
* - Exposure Analytics
* - Margin Analytics
* - XVA Analytics
*
* DROP Computational Core implements libraries for the following:
* - Algorithm Support
* - Computation Support
* - Function Analysis
* - Model Validation
* - Numerical Analysis
* - Numerical Optimizer
* - Spline Builder
* - Statistical Learning
*
* Documentation for DROP is Spread Over:
*
* - Main => https://lakshmidrip.github.io/DROP/
* - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
* - GitHub => https://github.com/lakshmiDRIP/DROP
* - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
* - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
* - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
* - Release Versions => https://lakshmidrip.github.io/DROP/version.html
* - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
* - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
* - JUnit => https://lakshmidrip.github.io/DROP/junit/index.html
* - Jacoco => https://lakshmidrip.github.io/DROP/jacoco/index.html
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
*
* You may obtain a copy of the License at
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
*
* See the License for the specific language governing permissions and
* limitations under the License.
*/
/**
* <i>MarketPath</i> holds the Vertex Market Realizations at the Trajectory Vertexes along the Path of a
* Simulation. The References are:
*
* <br><br>
* <ul>
* <li>
* Burgard, C., and M. Kjaer (2013): Funding Costs, Funding Strategies <i>Risk</i> <b>23
* (12)</b> 82-87
* </li>
* <li>
* Burgard, C., and M. Kjaer (2014): In the Balance <i>Risk</i> <b>24 (11)</b> 72-75
* </li>
* <li>
* Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-
* party Risk and Funding Costs <i>Journal of Credit Risk</i> <b>7 (3)</b> 1-19
* </li>
* <li>
* Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk <i>Risk</i> <b>20 (2)</b>
* 86-90
* </li>
* <li>
* Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives
* Pricing <i>Risk</i> <b>21 (2)</b> 97-102
* </li>
* <li>
* </ul>
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ExposureAnalyticsLibrary.md">Exposure Analytics</a></li>
* <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/exposure/README.md">Exposure Group Level Collateralized/Uncollateralized Exposure</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/exposure/universe/README.md">Exposure Generation - Market States Simulation</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class MarketPath
{
private org.drip.analytics.date.JulianDate[] _vertexDateArray = null;
private org.drip.exposure.universe.MarketVertex _epochalMarketVertex = null;
private org.drip.exposure.universe.MarketVertex _terminalMarketVertex = null;
private java.util.Map<java.lang.Integer, org.drip.exposure.universe.MarketVertex> _marketVertexTrajectory
= null;
/**
* Generate the Market Path from Market Vertex Array
*
* @param marketVertexArray The Market Vertex Array
*
* @return The Market Path
*/
public static final MarketPath FromMarketVertexArray (
final org.drip.exposure.universe.MarketVertex[] marketVertexArray)
{
if (null == marketVertexArray)
{
return null;
}
int vertexCount = marketVertexArray.length;
if (0 == vertexCount)
{
return null;
}
java.util.Map<java.lang.Integer, org.drip.exposure.universe.MarketVertex> marketVertexTrajectory =
new java.util.TreeMap<java.lang.Integer, org.drip.exposure.universe.MarketVertex>();
for (int vertexIndex = 0; vertexIndex < vertexCount; ++vertexIndex)
{
int marketVertexDate = marketVertexArray[vertexIndex].anchorDate().julian();
if (marketVertexTrajectory.containsKey (marketVertexDate))
{
return null;
}
marketVertexTrajectory.put (
marketVertexDate,
marketVertexArray[vertexIndex]
);
}
try
{
return new MarketPath (marketVertexTrajectory);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* MarketPath Constructor
*
* @param marketVertexTrajectory Date Map of the Market Vertexes
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public MarketPath (
final java.util.Map<java.lang.Integer, org.drip.exposure.universe.MarketVertex> marketVertexTrajectory)
throws java.lang.Exception
{
if (null == (_marketVertexTrajectory = marketVertexTrajectory))
{
throw new java.lang.Exception ("MarketPath Constructor => Invalid Inputs");
}
int vertexCount = _marketVertexTrajectory.size();
if (0 == _marketVertexTrajectory.size())
{
throw new java.lang.Exception ("MarketPath Constructor => Invalid Inputs");
}
int vertexIndex = 0;
_vertexDateArray = new org.drip.analytics.date.JulianDate[vertexCount];
for (java.util.Map.Entry<java.lang.Integer, org.drip.exposure.universe.MarketVertex>
marketVertexMapEntry : _marketVertexTrajectory.entrySet())
{
org.drip.exposure.universe.MarketVertex marketVertex = marketVertexMapEntry.getValue();
if (0 == vertexIndex)
{
_epochalMarketVertex = marketVertex;
}
_vertexDateArray[vertexIndex++] = marketVertex.anchorDate();
if (vertexCount == vertexIndex)
{
_terminalMarketVertex = marketVertex;
}
}
}
/**
* Retrieve the Array of the Vertex Anchor Dates
*
* @return The Array of the Vertex Anchor Dates
*/
public org.drip.analytics.date.JulianDate[] anchorDates()
{
return _vertexDateArray;
}
/**
* Retrieve the Trajectory of the Market Vertexes
*
* @return The Market Vertex Trajectory
*/
public java.util.Map<java.lang.Integer, org.drip.exposure.universe.MarketVertex> trajectory()
{
return _marketVertexTrajectory;
}
/**
* Retrieve the Array of the Market Vertexes
*
* @return The Market Vertex Array
*/
public org.drip.exposure.universe.MarketVertex[] marketVertexArray()
{
int vertexCount = _marketVertexTrajectory.size();
int vertexIndex = 0;
org.drip.exposure.universe.MarketVertex[] marketVertexArray = new
org.drip.exposure.universe.MarketVertex[vertexCount];
for (java.util.Map.Entry<java.lang.Integer, org.drip.exposure.universe.MarketVertex>
marketVertexMapEntry : _marketVertexTrajectory.entrySet())
{
marketVertexArray[vertexIndex++] = marketVertexMapEntry.getValue();
}
return marketVertexArray;
}
/**
* Retrieve the Epochal Market Vertex
*
* @return The Epochal Market Vertex
*/
public org.drip.exposure.universe.MarketVertex epochalMarketVertex()
{
return _epochalMarketVertex;
}
/**
* Retrieve the Terminal Market Vertex
*
* @return The Terminal Market Vertex
*/
public org.drip.exposure.universe.MarketVertex terminalMarketVertex()
{
return _terminalMarketVertex;
}
/**
* Indicate if the Market Vertex is available for the Specified Date
*
* @param vertexDate The Vertex Date
*
* @return TRUE - The Market Vertex is available for the Specified Date
*/
public boolean containsDate (
final int vertexDate)
{
return _marketVertexTrajectory.containsKey (vertexDate);
}
/**
* Retrieve the Market Vertex for the Specified Date
*
* @param vertexDate The Vertex Date
*
* @return The Market Vertex for the Specified Date
*/
public org.drip.exposure.universe.MarketVertex marketVertex (
final int vertexDate)
{
return containsDate (vertexDate) ? _marketVertexTrajectory.get (vertexDate) : null;
}
}